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Rosenzweig, Mark R. - 2016

We examine the generalizability of internally valid estimates of causal effects in a fixed population over time when that population is subject to aggregate shocks. This temporal external validity is shown to depend upon the distribution of the aggregate shocks and the interaction between these...

Persistent link: https://www.econbiz.de/10012986155

Rules of Thumb in Household Savings Decisions : Estimation Using Threshold Regression

Sabat, Jorge - 2019

The rules of thumb offered by financial advisors regarding how much to hold in liquid reserves vary widely and usually imply far greater sums than low-income households save. This paper seeks empirically-grounded insights into the minimum liquidity buffer needed by the average low-income...

Persistent link: https://www.econbiz.de/10012862700

Estimation of Growth in Fund Models

Kardaras, Constantinos; Keun Koo, Hyeng; Ruf, Johannes - 2022

-optimal portfolio only involves investment in the aforementioned funds. The loss of growth due to estimation error in fund models under … local frequentist estimation is determined entirely by the number of funds. Furthermore, under a general filtering framework … for Bayesian estimation, the loss of growth increases as the investment universe does. A shrinkage method that targets …

Persistent link: https://www.econbiz.de/10013403340

Testing Interest Rate Models for Solvency II Applications

Ostrovski, Vladimir - 2016

Interest rates are one of the main risk factors for insurance companies. Both assets and liabilities react to the movement of interest rates. Therefore, it is essential to have an adequate model of interest rates for Solvency II applications. Here, we address some of the existing issues under...

Persistent link: https://www.econbiz.de/10012999635

Estimating Credit Contagion in a Standard Factor Model

Roesch, Daniel - 2013

(2001), among others. However, statistical estimation techniques and empirical evidence on contagion are still scarce …

Persistent link: https://www.econbiz.de/10013073485

Estimating Financial Networks by Realized Interdependencies : A Restricted Autoregressive Approach

Caporin, Massimiliano; Erdemlioglu, Deniz; Nasini, Stefano - 2021

two blocks ofdependencies. We propose a block coordinate descent (BCD) procedure for the least square estimation and …

Persistent link: https://www.econbiz.de/10013233982

Testing for the diffusion matrix in a continuous-time Markov process model with applications to the term structure of interest rates

Li, Fuchun - 2015

The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...

Persistent link: https://www.econbiz.de/10010531070

Inefficiency of Modified VaR and ES

Martin, Doug - 2015

Modified Value-at-Risk (mVaR) and Modified Expected Shortfall (mES) are risk estimators that can be calculated without modelling the distribution of asset returns. These modified estimators use skewness and kurtosis corrections to normal distribution parametric VaR and ES formulas to reduce bias...

Persistent link: https://www.econbiz.de/10013011724

Testing

Bergbauer, Annika - 2018

School systems regularly use student assessments for accountability purposes. But, as highlighted by our conceptual model, different configurations of assessment usage generate performance-conducive incentives of different strengths for different stakeholders in different school environments. We...

Persistent link: https://www.econbiz.de/10012912784

Testing

Bergbauer, Annika - 2018

Persistent link: https://www.econbiz.de/10012910939